The Dragon Covenant is quite hard to get to as it requires traversing the Blighttown, Great Hollow, and Ash Lake. In Blighttown, go to the opposite end from Quelaag's Domain to a giant tree. Inside this tree keep hitting false walls and you will come into the Great Hollow. Make your way down to the bottom and outside into the Ash Lake. Next, dash across the sandbars all the way to the far end and speak with the Dragon to join.
NOTE: I recommend doing this after you get the Lordvessel so you don't have to back up the Great Hollow.